Adapted from sowonderfulsomarvelous.com
1. Put the pretzels on a baking sheet, you can line with parchment if you want, but I don't find it necessary usually. The key here is to put them pretty evenly spaced in rows, it will make the pecan step MUCH easier. You can use the circle pretzels, or the small twisty ones, but I prefer the snaps, it gives an even surface to place the rest of the stuff.
2. Then you will place one rolo candy on each pretzel.
3. Pop them in the oven at 350 (or around there) for 4-5 minutes. They will look shiny, but they will still look like a rolo, they shouldn't melt all over the place.
4. Take them out of the oven (get a helper for this part if you are doing a lot of them) and place a pecan on top of each rolo candy. Be careful not to burn yourself on the hot caramel or the sides of the baking sheet.
5. Then, gently push down squishing the rolo. You do need a light touch on this part because if you squish them too much the rolo gets everywhere and they're hard to remove from the pan when cooled.
6. Let them cool at room temp, then pop them in the fridge or freezer to cool completely. I store in the fridge to keep them longer, but remove them an hour or so before eating so the caramel softens up a bit. You can also store just in a covered tuperware container at room temp if you plan on eating them within a few days.
Oh, and one last thing. A REALLY helpful hint. Buy the rolos at the checkout counter, not the bagged ones. I always forget and buy the bagged ones because we need so many of them, but then you spend more time unwrapping each one than you do putting the rest of them together.